局部风险最小下保险合约的套期保值  

Hedging Strategy for Unit-linked Insurance Contract Under Local Risk Minimization

作　　者：杜立金[1] 刘继春[1] 汤思英[1] 

机构地区：[1]厦门大学数学科学学院,福建厦门361005

出　　处：《厦门大学学报（自然科学版）》2004年第3期302-305,共4页Journal of Xiamen University：Natural Science

摘　　要：单位联系保险合约的偿付额与金融市场中某特定股票的价格有关,我们考虑一同时描述金融市场和保险群体不确定性的模型,其不完全性来源于股价的混合扩散和保险个体的死亡,我们给出该模型下的最小鞅测度并在局部风险最小准则下考查单位联系寿险合约的套期保值问题.Unit-linked insurance contract is a contract where the benefit depend on the price of some specific traded stock.We consider a model describing the uncertainty of the financial market and a portfolio of insured individuals simultaneously.Incompleteness is caused by mix-diffusion market and insured individuals.We give the minimal martingale measure under this model and consider the hedging problem of the unit-linked life insurance contract under local risk minimization.

关 键 词：单位联系保险合约 偿付额 最小鞅测度 局部风险最小准则 套期保值 Foe11mer-Schweizer分解 

分 类 号：F840.62[经济管理—保险] F224.7